基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究

李自然;成思危;祖垒

系统科学与数学 ›› 2011, Vol. 31 ›› Issue (2) : 131-143.

PDF(659 KB)
中国科学院数学与系统科学研究院期刊网
PDF(659 KB)
系统科学与数学 ›› 2011, Vol. 31 ›› Issue (2) : 131-143. DOI: 10.12341/jssms09451
论文

基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究

    李自然(1)(2), 成思危(2)(3), 祖垒(4)
作者信息 +

STUDY ON THE TIME-VARYING VOLATILITY TRANSMISSION BETWEEN CHINA'S STOCK MARKET AND INTERNATIONAL STOCK MARKETS BASED ON ERGODICITY ANALYSIS OF THE GRANGER CAUSALITY TEST

    LI Ziran(1)(2), CHENG Siwei(2)(3), ZU Lei(4)
Author information +
文章历史 +

摘要

通过判断检验结果是否依赖滞后阶数的选取(遍历性分析)来考察格兰杰因果关系的稳定性,并基于该方法,构建了度量中国股市和国际主要股市之间关联程度的指标.虽然中国股市制度上的开放是稳步推进的,但发现中国股市同国际股市波动的关联程度是经历了一个先下降再上升的过程.此研究对认识中国股市的波动生成机制,以及防范境外风险向境内的传导提供了有益参考.

Abstract

Based on studying the ergodicity of the Granger causality test for different lag-lengths, this paper analyzes the time varying properties of the linkage between China's Stock Market and World Leading Markets. An index representing the extent of market correlation is also built. The results show that the correlation between China's stock market and the world markets first experiences a decline and then rise dramatically. This study contributes to a better understand of China's stock market pricing mechanism and the issue of risk guarding against overseas market.

关键词

CGARCH / Granger因果检验 / 遍历性.

Key words

CGARCH / granger causality test / ergodicity.

引用本文

EndNote

Ris (Procite)

Bibtex

导出引用
李自然 , 成思危 , 祖垒. 基于格兰杰因果检验遍历性分析的中国股市和国际股市的时变联动特征研究. 系统科学与数学, 2011, 31(2): 131-143. https://doi.org/10.12341/jssms09451
LI Ziran , CHENG Siwei , ZU Lei. STUDY ON THE TIME-VARYING VOLATILITY TRANSMISSION BETWEEN CHINA'S STOCK MARKET AND INTERNATIONAL STOCK MARKETS BASED ON ERGODICITY ANALYSIS OF THE GRANGER CAUSALITY TEST. Journal of Systems Science and Mathematical Sciences, 2011, 31(2): 131-143 https://doi.org/10.12341/jssms09451
中图分类号： 62J99   
PDF(659 KB)

447

Accesses

0

Citation

Detail
段落导航
相关文章

/

〈 〉